How to convert hair particles
When you convert hair particles you get vertices connected by edges. Most programs will only draw faces so you won't see the hair outside of blender unless you create some geometry that can be drawn.


Convert the hair particles to mesh.





Convert the hair particle mesh to a curve. &#9095; AltC-> Curve from Mesh/Text





Add a bevel to the curve - effectively turn each strand into a tube. For the fill option, front and back will give a quarter tube, half a half tube and full will fully enclose it. The depth setting determines how big the tube is while the resolution will subdivide the tube to give a more rounded result, a resolution of zero will give a four sided tube with fill set to full. You can use the extrude value to give them an oval shape. Note that extra resolution increases the geometry to export but would provide little variation to the visual result of the small hair mesh.





Convert to mesh. &#9095; AltC->Mesh from Curve.





Export.